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~institution:"Banca d'Italia"
~institution:"School of Economics, Faculty of Arts and Social Sciences"
~institution:"Society for Computational Economics - SCE"
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interest rate
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INTEREST RATE
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2005): banks with a multinational profile use their informational advantage to arbitrage out the differences in interest rates across countries
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939
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913
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387
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172
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11
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RePEc
51
ECONIS (ZBW)
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1
Optimal monetary policy rules and house prices: the role of financial frictions
Notarpietro, Alessandro
;
Siviero, Stefano
-
Banca d'Italia
-
2014
We probe the scope for reacting to house prices in simple and implementable monetary policy rules, using a New Keynesian model with a housing sector and financial frictions on the household side. We show that the social welfare maximizing monetary policy rule features a reaction to house price...
Persistent link: https://www.econbiz.de/10011099669
Saved in:
2
An estimated DSGE model with search and matching frictions in the credit market
Liberati, Danilo
-
Banca d'Italia
-
2014
of the agents in loan
interest
rate
bargaining. The model is able to reproduce the countercyclical behaviour of the … theoretical mechanism by which the
interest
rate
on loans is derived, we survey and compare these theoretical devices with that …
Persistent link: https://www.econbiz.de/10011105130
Saved in:
3
The management of
interest
rate
risk during the crisis: evidence from Italian banks
Esposito, Lucia
;
Nobili, Andrea
;
Ropele, Tiziano
-
Banca d'Italia
-
2013
their financial conditions and performance. We use a unique dataset to analyse Italian banks� exposure to
interest
rate
… evidence that banks managed their overall
interest
rate
risk exposure by means of on-balance-sheet restructuring complemented …
Persistent link: https://www.econbiz.de/10011099623
Saved in:
4
The Triple-Parity Law
Lambelet, Jean-Christian
;
Mihailov, Alexander
-
Society for Computational Economics - SCE
-
2006
nominal
interest
rate
parity (UIP); relative purchasing power parity (PPP); real
interest
rate
parity (RIP). Using a cross …
Persistent link: https://www.econbiz.de/10005537441
Saved in:
5
Bank heterogeneity and
interest
rate
setting: what lessons have we learned since Lehman Brothers?
Gambacorta, Leonardo
;
Mistrulli, Paolo Emilio
-
Banca d'Italia
-
2011
have influenced
interest
rate
setting since the collapse of Lehman Brothers. Unlike the existing literature, which has …
Persistent link: https://www.econbiz.de/10009364552
Saved in:
6
The rise of risk-based pricing of mortgage interest rates in Italy
Magri, Silvia
;
Pico, Raffaella
-
Banca d'Italia
-
2010
The paper assesses the extent to which mortgage rates in Italy are priced according to credit risk as proxied by the probability of household mortgage delinquency estimated using the EU-Silc database. For reasons of data availability we restrict the analysis of mortgage pricing to Italian...
Persistent link: https://www.econbiz.de/10008692066
Saved in:
7
Technical note on the estimation of forward and zero coupon yield curves as applied to Italian euromarket rates
In:
Zero-coupon yield curves : technical documentation
,
(pp. 12-14)
.
2005
Persistent link: https://www.econbiz.de/10003288588
Saved in:
8
Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks'
Interest
Rate
Risk Exposure
Fiori, Roberta
;
Iannotti, Simonetta
-
Banca d'Italia
-
2006
The paper develops a Value-at-Risk methodology to assess Italian banks�
interest
rate
risk exposure. By using 5 years … modelling
interest
rate
changes when underlying risk factors are skewed and heavy-tailed. The methodology is then implemented on …
Persistent link: https://www.econbiz.de/10005113524
Saved in:
9
Asymmetric Monetary Policy in Australia
Leu, Shawn Chen-Yu
;
Sheen, Jeffrey
-
School of Economics, Faculty of Arts and Social Sciences
-
2005
Australia acted with considerable discretion yielding poor performance of an
interest
rate
rule. However it behaved …
Persistent link: https://www.econbiz.de/10009141977
Saved in:
10
Real-time data for Norway: Output gap revisions and challenges for monetary policy
BERNHARDSEN, TOM
;
EITRHEIM, ØYVIND
-
Society for Computational Economics - SCE
-
2005
Monetary policy conducted in real time has to take into account the preliminary nature of recent national accounts data. Not only recent data, but also figures dating many years back are potentially subject to revisions. This means that there is a danger that an important part of the central...
Persistent link: https://www.econbiz.de/10005132699
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